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Quant Note

IMG
News, January 2014
Launch of a Research Program in Behavioral Finance
Under the CIFRE plan (industrial contracts for training through research), Koris International launches a research program in Behavioral Finance through a PhD entitled "Behavioral Finance Approach for Risk Assessment in Quantitative Portfolio Management”, conducted by the PhD (...)
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IMG
News, December 2013
CTAs on a strong recovery mode in november
10 out of 13 Lyxor Indices ended the month of November in positive territory, led by the CTA Long Term Index (+4.2%), the L/S Equity Market Neutral Index (+1.7%) and the CTA Short Term Index (+1.6%). The Lyxor Hedge Fund Index posted a positive performance close to 1% in (...)
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IMG
Strategy, April 2013
Risk factors: taking risk budgeting one step further
An increasing number of pension funds are opting to invest in ‘alternative’ or ‘smart beta’ indices to supplement their passive management activities. Several competing methods currently exist, each with their own objectives. Analysing the risk contribution of each factor by (...)
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IMG
Strategy, December 2012
An example of Quantitative Strategy: The Low Volatility approach
Low volatility indices and, more broadly, products based on quantitative strategies aiming to select only low-volatility stocks, have met with growing success with the financial community and investors. However, most of these indices have major drawbacks that cannot always (...)
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IMG
Note, January 2012
Assessment of the true risks of Exchange-Traded Funds (ETFs)
According to EDHEC-Risk Institute, any discussion of the risks inherent in ETFs should go beyond merely hypothesising about potential risks, and should also take into account the empirical evidence provided by the existing academic research on (...)
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Study

IMG
Regulation, February 2011
Solvency II: The conventions of the standard model and possible adverse effects
The Solvency II framework will change the way insurance companies address the investments performance in risky assets, by adding a new parameter to the traditional risk / reward tradeoff ....
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IMG
Strategy, November 2010
Pension funds predicted to increase hedge funds exposure in the coming years
The current pension allocation is only a fraction of the allocation of many of the leading endowment funds, many of whom have up to 50% of their portfolio invested in hedge funds.
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IMG
Note, March 2008
Towards an evolutionary approach of financial markets
If the prices of assets include all available information at every moment, then we can only beat the market by coincidence…
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IMG
Note, March 2007
Towards a behavioral portfolio theory
a major problem facing the asset management industry is the creation of portfolios that generate maximum profitability while being consistent with the risk profile of investors...
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